Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0083 |
| Annualized Std Dev | 0.0500 |
| Annualized Sharpe (Rf=0%) | 0.1661 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3511.0000 |
| NAs | 1.0000 |
| Minimum | -0.0544 |
| Quartile 1 | -0.0014 |
| Median | 0.0001 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0015 |
| Maximum | 0.0422 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0001 |
| Variance | 0.0000 |
| Stdev | 0.0031 |
| Skewness | -0.7516 |
| Kurtosis | 52.0855 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0023 |
| Gain Deviation | 0.0023 |
| Loss Deviation | 0.0026 |
| Downside Deviation (MAR=210%) | 0.0088 |
| Downside Deviation (Rf=0%) | 0.0023 |
| Downside Deviation (0%) | 0.0023 |
| Maximum Drawdown | 0.1118 |
| Historical VaR (95%) | -0.0044 |
| Historical ES (95%) | -0.0069 |
| Modified VaR (95%) | -0.0025 |
| Modified ES (95%) | -0.0025 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-01-23 | 2008-10-10 | 2008-12-30 | -0.1118 | 238 | 183 | 55 |
| 2012-07-26 | 2018-11-08 | 2020-01-31 | -0.0922 | 1891 | 1584 | 307 |
| 2020-03-09 | 2020-03-12 | 2020-06-15 | -0.0867 | 69 | 4 | 65 |
| 2020-08-07 | 2021-03-18 | NA | -0.0572 | 156 | 154 | NA |
| 2010-11-05 | 2011-02-10 | 2011-08-04 | -0.0474 | 188 | 67 | 121 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | -0.2 | -0.6 | 0.3 | -0.5 | 0.1 | -0.4 | 0.2 | 0 | 0.9 | -0.2 |
| 2008 | 0 | 0.6 | -1.4 | -0.4 | 0.1 | -0.5 | -0.2 | -0.1 | -0.9 | -0.1 | 0.2 | 0.1 | -2.6 |
| 2009 | 0.1 | 0.1 | -0.2 | -0.5 | -1 | -0.4 | 0.4 | -0.2 | 0.1 | 0.4 | -0.4 | -0.1 | -1.7 |
| 2010 | -0.4 | -0.2 | -0.3 | 0.3 | -0.2 | -0.2 | 0.1 | -0.6 | -0.4 | -0.3 | -0.9 | 0.3 | -2.7 |
| 2011 | -0.5 | -0.3 | -0.2 | 0.1 | 0.2 | -0.2 | 0 | 0.2 | 0.4 | 0.5 | -0.3 | 0.1 | 0 |
| 2012 | -0.3 | -0.4 | -0.2 | -0.4 | 0.1 | -0.1 | -0.3 | 0.4 | -0.1 | -0.2 | -0.1 | -0.1 | -1.7 |
| 2013 | -0.5 | -0.1 | -0.3 | 0 | -0.2 | 0 | -0.7 | -0.1 | -0.3 | -0.5 | 0 | 0 | -2.7 |
| 2014 | 0.1 | -0.1 | -0.3 | 0 | -0.1 | -0.4 | 0.1 | 0 | 0.2 | -0.2 | -0.3 | 0.1 | -0.8 |
| 2015 | 0.5 | 0.1 | 0.2 | -0.5 | -0.5 | -0.4 | 0.3 | 0 | -0.1 | 0.2 | 0.2 | 0.2 | 0.1 |
| 2016 | -0.4 | -0.5 | -0.1 | 0.1 | -0.2 | 0.1 | -0.5 | -0.1 | -0.1 | -0.2 | -0.6 | 0.2 | -2.3 |
| 2017 | -0.4 | -0.6 | 0.1 | -0.4 | -0.2 | -0.1 | 0 | -0.4 | 0 | -0.1 | 0.1 | 0.2 | -1.9 |
| 2018 | -0.5 | 0 | 0.3 | -0.4 | -0.4 | 0 | -0.3 | 0 | -0.4 | -0.1 | 0 | 0.3 | -1.5 |
| 2019 | -0.5 | -0.5 | -0.6 | -0.2 | 0.4 | -0.2 | 0.5 | 0 | -0.1 | -0.3 | 0 | -0.1 | -1.8 |
| 2020 | 0.3 | 0.7 | 0.3 | -0.2 | -0.3 | -0.2 | 0.1 | 0.1 | -0.1 | -0.2 | -0.5 | 0.1 | 0.2 |
| 2021 | -0.1 | -0.3 | 0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.3 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-04-10 75.2 SPY 145. 0.00120 0.0172 0.0272 0.0242 0.105 0.259 0.280 GLD 67.2 0.0095 0.0199
2 2007-04-11 75.0 SPY 144. -0.0041 0.0023 0.0215 0.0209 0.112 0.256 0.284 GLD 67.1 -0.00120 0.019
3 2007-04-12 75.0 SPY 145. 0.0044 0.0056 0.0464 0.022 0.115 0.265 0.276 GLD 67.0 -0.0013 0.0027
4 2007-04-13 74.9 SPY 145. 0.0046 0.0075 0.0434 0.0222 0.130 0.266 0.314 GLD 67.8 0.0127 0.0147
5 2007-04-16 75.0 SPY 147. 0.0095 0.0156 0.0518 0.0242 0.138 0.296 0.317 GLD 68.4 0.0083 0.0281
6 2007-04-17 75.2 SPY 147. 0.0027 0.0171 0.0618 0.0289 0.143 0.297 0.330 GLD 68 -0.00580 0.0125
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
